TY - JOUR T1 - Bankruptcy Risk and the Cross-Section of REITs JF - The Journal of Investing DO - 10.3905/joi.2022.1.247 SP - joi.2022.1.247 AU - Jesse Neumann Y1 - 2022/12/08 UR - https://pm-research.com/content/early/2022/12/08/joi.2022.1.247.abstract N2 - This article investigates the equity cross-section of real estate investment trusts (REITs) both when REITs are added as a separate portfolio to the cross-section of industries and when individual REITs are studied in isolation. A nine-factor asset pricing model which critically relies on the bankruptcy risk factor of Neumann (2021b) produces REIT portfolios which outperform the REIT market in terms of Sharpe ratio and the S&P 500 index in terms of absolute returns. The decrease in adjusted R2 of an asset pricing model when REITs are included as a separate portfolio is presented as an alternative quantification of the temporally dynamic correlation between REITs and other equity assets. ER -